Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298242 
Year of Publication: 
2023
Series/Report no.: 
AGDI Working Paper No. WP/23/057
Publisher: 
African Governance and Development Institute (AGDI), Yaoundé
Abstract: 
War-related expectations cause changes to investors' risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries' debt markets during the Russia-Ukraine war. We use behavioral indicators across social media, news media, and internet attention to reflect the public sentiment from 1st January 2022 to 20th April 2023. We apply the quantile-on-quantile regression (QQR) and rolling window wavelet correlation (RWWC) methods. The quantile-on-quantile regression results show heterogenous impact on fixed income securities. Specifically, extreme public sentiment has a negative impact on G7 fixed income securities return. The wavelets correlation result shows dynamic correlation pattern among public sentiment and fixed income securities. There is a negative relationship between public sentiment and G7 fixed income securities. The correlation is time-varying and highly event dependent. Our additional analysis using corporate bond data indicates the robustness of our findings. Furthermore, the contagion analysis shows public sentiment significantly influence G7 fixed income securities spillover. Our findings can be of great significance while framing strategies for asset allocation, portfolio performance and risk hedging.
Subjects: 
Russia-Ukraine war
economic sanctions
G7 debt
fixed income securities
quantile approaches
Document Type: 
Working Paper

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